My idea would've been to have a rust scheme for links, like rust://crate/mod/type.method or rust:/mod/type.method for local references.
I like this idea, it works well with the constraints of markdown.
Though the crate part is a bit hard to do if you want to reference non-dependencies, since you'd have to resolve it somehow.
The way that Python handles this is with intersphinx, a sphinx extension which just helps map domains to indexes. Since rustdoc is already generating indexes for search it should be straightforward to expose the index file on doc sites. Then it's just a matter of pointing to it in Cargo.toml or Rustdoc.toml or somewhere.